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... each small step having an adaptive advantage. It is for exactly the same reason that no 6 limbed terrestrial vertebrate lives. We cannot have a pegasus since there is no way to evolve the requisite extra limbs in small steps, with each stage being an advantage.

An example of such a structure would probably need to be a saltation of some kind. For example a pegasus. Horses only have four appendages and it would not be evolutionarily possible for them to evolve wings on their backs.